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Health NSLT Premium and Reserve Risk

Health

Calculate the Non-Similar-to-Life Techniques Premium and Reserve Risk instantly.

€

Total NSLT Volume Measure

€45 000 000

×

Effective NSLT Shock Factor

0.2400

=

NSLT Premium & Reserve Risk

€10 800 000

1Step 1

Combined standard deviation (Art. 148)

σNSLT=f(σprem, σres, Vprem, Vres)\sigma_\mathrm{NSLT} = f(\sigma_\mathrm{prem},\,\sigma_\mathrm{res},\,V_\mathrm{prem},\,V_\mathrm{res})
2Step 2

Effective shock factor (Art. 146)

ρ(σ)=3×σNSLT\rho(\sigma) = 3 \times \sigma_\mathrm{NSLT}
3Step 3

Premium and reserve risk charge

NSLTPR=ρ(σ)×VNSLT\mathrm{NSLT}_\mathrm{PR} = \rho(\sigma) \times V_\mathrm{NSLT}

Understand the Health NSLT Premium and Reserve Risk

Overview

This calculator implements the gross capital requirement for the Health NSLT Premium & Reserve Risk sub-module within the Solvency II standard formula.[1] The Health NSLT Premium & Reserve Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from a 1-in-200 year stress event affecting claims volatility and reserving uncertainty for obligations managed using non-life techniques.[2]

Input Terms

  • Volume Measure (V_h): The total volume measure for all health NSLT segments, representing the scale of current and future health insurance obligations.[3]
  • Standard Deviation (sigma_h): The combined standard deviation for the health NSLT portfolio, reflecting the expected claims volatility across the relevant business lines.

Technical Rationale

The Health NSLT Premium & Reserve Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It captures the sensitivity of the undertaking’s basic own funds to an adverse increase in claims volatility and reserving uncertainty for health obligations that do not use life-actuarial techniques (NSLT).[1]

The calculation follows the prescribed scalar formula defined in Article 146, where capital is a function of the total volume measure (premiums and reserves) and the portfolio's standard deviation. This approach ensures that capital requirements scale directly with the size of the book (Volume) and the uncertainty of future claims emergence (Standard Deviation). The final result represents the gross health underwriting component before diversification in Health Risk.

Important Notes

  • Embedded Diversification: The diversification benefit between health segments is already recognized in the `sigma_h` parameter. Therefore, no additional diversification is applied at this module layer.[1]
  • Data Periodicity: Volume measures must accurately capture the expected earned premiums and reserve balances for the upcoming 12-month period to ensure the capital requirement correctly reflects current scale.
  • Gross vs. Net SCR: This calculator determines the standalone Health NSLT Premium and Reserve Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in the higher Health Risk aggregation chain, then within BSCR, and after the top-level LAC TP and LACDT adjustments.
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[4]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01 standard-formula reporting view.[5]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 146 (Health NSLT underwriting risk calibration) - EUR-Lex
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 147 (Volume measure for health NSLT premium and reserve risk) - EUR-Lex
  4. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  5. Commission Implementing Regulation (EU) 2015/2450 - QRT S.25.01 - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.